Why isn't merge by distance allowing me to merge doubled vertices from different meshes?
The merge by distance work on single mesh data only. It doesn't need to be connected, but at least same mesh.

Usually you will need to join two meshes first and then merge doubles vertices. As an user dominant program, Blender should not do anything that user was not expecting for. It could be a good feature to make an option in operator. But multiple meshes editing is a new thing in 2.80, this is a new use case that developer need to consider.

So you might want to file your request as described here